Add a test for the gcore script

It also tests the gcore script being run without its accessible
terminal.

This test was written by Jan Kratochvil a long time ago. I modernized
the test making it use various procs from lib/gdb.exp, reorganizing it
and added some comments.

Modify the gcore script to make it possible to pass the --data-directory to
it. This prevents a lot of these warnings:

Python Exception <class 'AttributeError'>: module 'gdb' has no attribute
'_handle_missing_debuginfo'

Tested by using make check-all-boards.

Co-Authored-By: Jan Kratochvil <jan.kratochvil@redhat.com>

Reviewed-By: Eli Zaretskii <eliz@gnu.org>